scikit-learn supports Recursive Functions Removal (RFE), which is a wrapper method for selecting functions.
mlxtend , a stand-alone Python library that works well with scikit-learn, also provides a Selective Function Selector (SFS) that works differently:
RFE is less computationally complex using weighting coefficients (e.g. linear models) or feature characteristics (tree-based algorithms) for recursive replication of functions, while SFS excludes (or adds) functions based on a custom classifier / regression performance metric .
source
share